초록 열기/닫기 버튼
This research examines the efficiency of nonparametric factor analytic approaches in measur- ing risk in common stocks of Korean financial firms from the risk-management perspective. This paper shows that using only one risk factor extracted from principal component analy- sis, the parallel shift or market movement factor, has sufficient accuracy for downside risk measures. We assess accuracy by applying Monte Carlo simulation to obtain VaR and ES for the Korean financial sector and industries within the financial sector (banks, insurance com- panies, and investment andsecurity trading companies), and further estimate the risk conta- gious effect on financial firms.
